Coursebooks 2017-2018

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Econometrics

FIN-403

Lecturer(s) :

Tseng Chih-Hsiao Michael

Language:

English

Remarque

For sem. MA1

Summary

The course covers basic econometric models and methods that are routinely applied to obtain inference results in economic and financial applications.

Content

- Linear models;
- Least squares regression;
- Instrumental variables;
- Nonlinear models;
- Nonspherical errors;
- Large sample asymptotics: consistency, efficiency and limit distribution of estimators;
- Hypothesis testing.

Keywords

Linear models - least squares regression

Learning Prerequisites

Recommended courses

Important concepts to start the course

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures

Expected student activities

Group homework, exercises

Assessment methods

Supervision

Assistants Yes

Resources

Bibliography

Econometric analysis / William H. Greene. ISBN:978-0-13-513740-6

Econometrics / Fumio Hayashi. ISBN: 978-0691010182

Introduction to the Mathematical and Statistical Foundations of Econometrics/ Herman J. Bierens. ISBN: 978-0521542241

Ressources en bibliothèque
Notes/Handbook

Lecture notes

Prerequisite for

In the programs

  • Financial engineering, 2017-2018, Master semester 1
    • Semester
      Fall
    • Exam form
      Written
    • Credits
      4
    • Subject examined
      Econometrics
    • Lecture
      2 Hour(s) per week x 14 weeks
    • Exercises
      2 Hour(s) per week x 14 weeks
  • Financial engineering, 2017-2018, Master semester 3
    • Semester
      Fall
    • Exam form
      Written
    • Credits
      4
    • Subject examined
      Econometrics
    • Lecture
      2 Hour(s) per week x 14 weeks
    • Exercises
      2 Hour(s) per week x 14 weeks

Reference week

MoTuWeThFr
8-9
9-10
10-11
11-12
12-13
13-14
14-15
15-16
16-17
17-18
18-19
19-20
20-21
21-22
Under construction
Lecture
Exercise, TP
Project, other

legend

  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German